Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0244
Annualized Std Dev 0.1718
Annualized Sharpe (Rf=0%) -0.1418

Row

Daily Return Statistics

Close
Observations 4376.0000
NAs 1.0000
Minimum -0.2359
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0036
Maximum 0.2173
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0108
Skewness -0.6355
Kurtosis 108.8078

Downside Risk

Close
Semi Deviation 0.0079
Gain Deviation 0.0088
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0126
Downside Deviation (Rf=0%) 0.0079
Downside Deviation (0%) 0.0079
Maximum Drawdown 0.6181
Historical VaR (95%) -0.0122
Historical ES (95%) -0.0246
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2003-11-18 2020-03-18 NA -0.6181 4364 4110 NA
2003-11-03 2003-11-03 2003-11-04 -0.0005 2 1 1
2003-11-10 2003-11-10 2003-11-17 -0.0005 6 1 5
2003-11-05 2003-11-05 2003-11-06 -0.0005 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA 0 0.2 0.1 0.2
2004 -1 -0.3 0.1 0.7 0.5 0.1 1 0.2 -0.2 0 0 1.2 2.3
2005 0.2 0.4 0.4 0.2 0.4 1.3 0.3 0.2 0.6 0.2 -0.2 1.2 5.3
2006 -0.1 0.1 0.1 -0.2 0.3 0 0.1 0.2 0.1 -0.1 0.1 0.2 0.9
2007 0.3 -0.3 0.1 -0.2 -0.1 -0.2 -2.1 0.5 1.1 0.4 1.2 0.2 0.8
2008 0.1 -1.2 2.7 0.3 0.6 -0.4 1.5 0.2 3.4 2.1 -3 0.8 7.3
2009 0.8 0 1.8 3.2 1.4 1.1 -1.3 -0.4 0.2 -2.4 1 -0.9 4.6
2010 -0.2 0.8 1.7 -1.1 0.3 0.4 1.1 1.4 1 0.7 0.7 0.8 7.8
2011 0.6 -0.3 -0.3 -0.3 -0.1 0.4 2.4 1.8 -3.7 -0.6 0.8 0.3 0.9
2012 -0.4 0.5 -0.5 1.1 -0.8 0.7 -0.9 0.7 0.4 0.2 -0.7 0.5 0.6
2013 1.3 -0.1 0.2 -0.4 -2.2 1.7 0.8 0.3 0 -1.4 -0.1 -0.1 0
2014 0.4 0.4 -0.8 0.1 0.3 -0.8 -0.4 -0.4 -0.1 -0.1 -0.3 1.3 -0.2
2015 -0.3 0.5 0.4 0.6 0 0 0.5 0.2 -0.5 -0.5 -0.6 -0.2 0
2016 0 1.1 -0.4 0 0.1 0.8 -0.8 -0.3 0.1 -0.5 1 0.3 1.6
2017 -0.2 0.7 -0.1 -0.2 -0.1 1.1 0.1 0.1 0.1 -0.3 -0.2 -0.1 0.8
2018 0.1 -0.1 -0.1 -0.2 0.1 0 0.4 -0.1 -0.1 0.2 0.1 0.5 0.9
2019 0.6 -0.2 0.7 0.2 -1 0 -0.3 0 0.2 0.4 0.4 -0.1 0.9
2020 -0.4 -2.7 -2.4 -1.4 0.9 0.5 0.5 0.4 0.4 0.1 0.9 1 -2.1
2021 2.3 0.4 0.4 NA NA NA NA NA NA NA NA NA 3.1

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart